A0999
Title: Drift estimation for rough diffusion models under a small noise asymptotic assumption
Authors: Arnaud Gloter - Universite d Evry Val d Essonne (France) [presenting]
Nakahiro Yoshida - University of Tokyo (Japan)
Abstract: A stochastic process $X$ solution of a rough Volterra equation driven by a semimartingale process $Z$ is considered. It is assumed that the diffusion coefficient of $Z$ is proportional to some constant $\epsilon$ tending to zero. The focus is on the estimation of the drift parameter from continuous and discrete observations of the process $X$ on a compact time interval $[0,T]$. The asymptotic behavior of two kinds of estimators is studied, one based on a trajectory fitting method and one obtained by an approximate likelihood method.
